6 papers
On fluctuation-theoretic decompositions via Lindley-type recursions
Onno Boxma, Offer Kella, Michel Mandjes
Consider a Lévy process over an exponentially distributed time with mean . We study the joint distribution of the running maximum and the time epoc…
Synchronized Lévy queues
Offer Kella, Onno Boxma
We consider a multivariate Lévy process where the first coordinate is a Lévy process with no negative jumps which is not a subordinator and the others are nondecreasing. We determi…
Steady-state optimization of an exhaustive Levy storage process with intermittent output and random output rate
Royi Jacobovic, Offer Kella
Consider a regenerative storage process with a nondecreasing Lévy input (subordinator) such that every cycle may be split into two periods. In the first (off) the output is shut of…
Minimizing a stochastic convex function subject to stochastic constraints and some applications
Royi Jacobovic, Offer Kella
In the simplest case, we obtain a general solution to a problem of minimizing an integral of a nondecreasing right continuous stochastic process from zero to some nonnegative rando…
Asymptotic independence of regenerative processes with dependent cycles
Royi Jacobovic, Offer Kella
We identify general conditions under which regenerative processes with dependent cycles and cycle lengths are asymptotically independent. The result is applied to various models. I…
Two-sided reflected Markov-modulated Brownian motion with applications to fluid queues and dividend payouts
Bernardo D'Auria, Offer Kella
In this paper we study a reflected Markov-modulated Brownian motion with a two sided reflection in which the drift, diffusion coefficient and the two boundaries are (jointly) modul…